A Limit Theorem for the Maximum of Autoregressive Processes with Uniform Marginal Distributions
نویسندگان
چکیده
منابع مشابه
Some Autoregressive Moving Average Processes with Generalized Poisson Marginal Distributions
Abstrac t . Some simple models are introduced which may be used for modelling or generating sequences of dependent discrete random variables with generalized Poisson marginal distribution. Our approach for building these models is similar to that of the Poisson ARMA processes considered by Al-Osh and Alzaid (1987, J. Time Ser. Anal., 8, 261-275; 1988, Statist. Hefte, 29, 281-300) and McKenzie (...
متن کاملA weak approximation for the Extrema's distributions of Levy processes
Suppose that $X_{t}$ is a one-dimensional and real-valued L'evy process started from $X_0=0$, which ({bf 1}) its nonnegative jumps measure $nu$ satisfying $int_{Bbb R}min{1,x^2}nu(dx)
متن کاملOn the Functional Central Limit Theorem for a Class of Nonlinear Autoregressive Processes
A functional central limit theorem for a class of nonlinear stationary Markov processes which are geometrically Harris ergodic is derived.
متن کاملThe Local Limit Theorem: A Historical Perspective
The local limit theorem describes how the density of a sum of random variables follows the normal curve. However the local limit theorem is often seen as a curiosity of no particular importance when compared with the central limit theorem. Nevertheless the local limit theorem came first and is in fact associated with the foundation of probability theory by Blaise Pascal and Pierre de Fer...
متن کاملCentral Limit Theorem for Stationary Linear Processes
We establish the central limit theorem for linear processes with dependent innovations including martingales and mixingale type of assumptions as defined in McLeish [Ann. In doing so we shall preserve the generality of the coefficients, including the long range dependence case, and we shall express the variance of partial sums in a form easy to apply. Ergodicity is not required.
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: The Annals of Probability
سال: 1981
ISSN: 0091-1798
DOI: 10.1214/aop/1176994514